OTEX Options History — April 2016

In April 2016, OTEX traded between $25.87 and $28.02. ATM implied volatility averaged 29.9%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 7.7% (HV 20d: 22.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2016-04-27: Highest Volume — 2,900 contracts
  • 2016-04-28: Largest IV drop — 38.6% change
  • 2016-04-26: Highest IV Rank — 40.9%
  • 2016-04-26: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.07$25.87$28.02$25.87$28.00
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV29.9%19.4%39.7%22.4%23.9%
Expected Move9.5%6.4%11.4%6.4%6.9%
HV 20d22.2%18.7%26.6%24.0%22.0%
HV 60d32.4%31.7%33.0%32.8%32.2%
IV Rank22.7%3.3%40.9%8.9%11.8%
IV Percentile56.1%4.4%89.3%18.7%32.9%
Term Structure-3.8%-9.0%9.3%9.3%-0.6%
VWIV33.7%22.9%40.5%22.9%23.8%
Skew 25d2.6%0.3%4.7%0.3%4.3%
Skew 10d9.7%1.4%36.4%36.4%8.6%
Call IV 25d32.1%21.4%38.3%22.8%22.5%
Put IV 25d34.7%23.1%41.3%23.1%26.7%
Bid-Ask Spread %25.1010.8859.4325.7830.60
Gamma HHI0.460.350.620.400.53
Net GEX432.4K242.2K922.3K280.5K768.0K
Net DEX-10.7M-17.5M-5.5M-5.5M-17.1M
Net VEX-68.6K-74.8K-63.2K-68.3K-63.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.363.601.400.36
Total Volume1,367.2387502,9009781,820
Total OI26,447.33323,31829,67623,31829,676

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$25.87$25.0022.4%6.4%24.0%8.9%22.9%0.3%9.3%280.5K-5.5M-68.3K1.4025.78N/AN/A40857010,54612,772
2016-04-04$26.27$25.0019.4%8.9%23.6%3.3%31.4%1.8%-2.0%338.9K-7.2M-64.9K0.8715.09N/AN/A65657210,55812,952
2016-04-05$26.50$25.0022.7%9.4%23.7%9.4%32.6%0.9%-3.4%422.5K-8.6M-66.0K1.2712.99N/AN/A33042010,90813,218
2016-04-06$27.00$25.0022.0%9.2%23.9%8.3%32.4%1.6%-1.8%591.1K-11.9M-65.1K1.1422.44N/AN/A41647411,04413,362
2016-04-07$26.25$25.0024.1%9.9%26.6%12.1%34.7%3.0%-3.6%327.4K-6.8M-68.6K3.6017.69N/AN/A4321,55411,27213,510
2016-04-08$26.38$25.0021.8%9.6%26.3%7.8%34.9%2.9%-3.8%330.9K-7.2M-71.0K1.6513.54N/AN/A41267811,37614,176
2016-04-11$26.77$25.0022.9%9.5%26.0%9.8%34.6%3.4%-3.5%527.8K-9.6M-67.8K1.9910.88N/AN/A41883211,40414,442
2016-04-12$26.63$25.0027.8%9.7%25.8%18.9%34.9%1.8%-4.1%446.7K-8.5M-67.8K1.0713.12N/AN/A45448411,49414,686
2016-04-13$26.95$25.0032.9%9.4%24.0%28.2%33.9%2.3%-3.7%675.5K-10.4M-67.1K1.1218.09N/AN/A61869211,65014,854
2016-04-14$27.13$25.0033.3%9.5%20.7%29.0%33.7%1.3%-4.2%922.3K-11.5M-66.4K0.9916.45N/AN/A54854211,85415,088
2016-04-15$27.02$25.0034.0%9.7%20.9%30.3%34.2%1.7%-4.5%258.2K-10.2M-66.5K1.6516.72N/AN/A7601,25211,95615,296
2016-04-18$27.30$25.0034.4%9.9%19.1%31.1%33.7%1.8%-5.1%258.9K-10.2M-66.9K1.0859.43N/AN/A85692210,22015,060
2016-04-19$27.70$25.0035.1%10.1%19.4%32.4%36.3%2.9%-5.6%325.8K-12.6M-67.1K0.8025.93N/AN/A81665210,63415,406
2016-04-20$27.79$25.0036.2%10.4%19.4%34.4%36.1%3.8%-5.8%345.9K-13.5M-71.5K0.7323.89N/AN/A67049211,24815,666
2016-04-21$27.70$25.0036.1%10.4%19.4%34.2%36.6%2.5%-5.8%360.5K-13.6M-71.3K1.0826.81N/AN/A59464211,45615,722
2016-04-22$27.78$25.0037.5%10.8%19.4%36.8%37.8%3.9%-6.3%353.2K-13.5M-73.7K1.5330.91N/AN/A41863811,64616,070
2016-04-25$27.30$25.0038.3%11.0%21.0%38.3%39.4%3.2%-7.4%291.6K-10.7M-73.4K1.5927.93N/AN/A39863411,64016,308
2016-04-26$27.21$25.0039.7%11.4%19.6%40.9%40.5%2.8%-9.0%267.7K-10.0M-74.2K1.4128.01N/AN/A44262211,70816,430
2016-04-27$27.02$25.0039.0%11.2%18.7%39.4%39.5%3.5%-8.8%242.2K-8.5M-74.8K0.8758.70N/AN/A1,5501,35011,77016,724
2016-04-28$28.02$25.0023.9%6.9%22.1%11.7%23.9%4.7%-1.1%745.5K-17.5M-63.2K0.8932.03N/AN/A88878612,50617,086
2016-04-29$28.00$25.0023.9%6.9%22.0%11.8%23.8%4.3%-0.6%768.0K-17.1M-63.9K0.3630.60N/AN/A1,33848212,69416,982